/**
* strategies/rsi.ts - RSI（相対力指数）戦略
*
* エントリー: RSI が oversold 以下から上昇（売られすぎから回復）
* エグジット: RSI が overbought 以上に到達（買われすぎ）
*/
import type { Candle } from '../../types.js';
import type { Strategy, Signal, Overlay, ParamValidationResult } from './types.js';
/**
* RSI戦略のデフォルトパラメータ
*/
const DEFAULT_PARAMS = {
period: 14,
overbought: 70,
oversold: 30,
};
/**
* RSIを計算
*
* @param closes 終値配列（古い順）
* @param period RSI期間
* @returns RSI配列（0-100、先頭period個はNaN）
*/
function calculateRSI(closes: number[], period: number): number[] {
const result: number[] = new Array(closes.length).fill(NaN);
if (closes.length < period + 1) {
return result;
}
// 価格変化を計算
const changes: number[] = [];
for (let i = 1; i < closes.length; i++) {
changes.push(closes[i] - closes[i - 1]);
}
// 最初の平均利益・平均損失を計算
let avgGain = 0;
let avgLoss = 0;
for (let i = 0; i < period; i++) {
const change = changes[i];
if (change > 0) {
avgGain += change;
} else {
avgLoss += Math.abs(change);
}
}
avgGain /= period;
avgLoss /= period;
// 最初のRSI
if (avgLoss === 0) {
result[period] = 100;
} else {
const rs = avgGain / avgLoss;
result[period] = 100 - 100 / (1 + rs);
}
// Wilder's Smoothing Method で続きを計算
for (let i = period; i < changes.length; i++) {
const change = changes[i];
const gain = change > 0 ? change : 0;
const loss = change < 0 ? Math.abs(change) : 0;
avgGain = (avgGain * (period - 1) + gain) / period;
avgLoss = (avgLoss * (period - 1) + loss) / period;
if (avgLoss === 0) {
result[i + 1] = 100;
} else {
const rs = avgGain / avgLoss;
result[i + 1] = 100 - 100 / (1 + rs);
}
}
return result;
}
/**
* パラメータのバリデーション
*/
export function validateParams(params: Record<string, number>): ParamValidationResult {
const errors: string[] = [];
const normalized = { ...DEFAULT_PARAMS, ...params };
if (normalized.period < 2) {
errors.push('period must be at least 2');
}
if (normalized.overbought <= normalized.oversold) {
errors.push('overbought must be greater than oversold');
}
if (normalized.oversold < 0 || normalized.oversold > 100) {
errors.push('oversold must be between 0 and 100');
}
if (normalized.overbought < 0 || normalized.overbought > 100) {
errors.push('overbought must be between 0 and 100');
}
return {
valid: errors.length === 0,
errors,
normalizedParams: normalized,
};
}
/**
* RSI戦略
*/
export const rsiStrategy: Strategy = {
name: 'RSI',
type: 'rsi',
requiredBars: 20,
defaultParams: DEFAULT_PARAMS,
generate(candles: Candle[], params: Record<string, number>): Signal[] {
const { period, overbought, oversold } = { ...DEFAULT_PARAMS, ...params };
const closes = candles.map(c => c.close);
const rsi = calculateRSI(closes, period);
const signals: Signal[] = [];
const startIdx = period + 1; // RSIが有効 + 前日比較用
for (let i = 0; i < candles.length; i++) {
if (i < startIdx) {
signals.push({ time: candles[i].time, action: 'hold' });
continue;
}
const prevRSI = rsi[i - 1];
const currRSI = rsi[i];
if (isNaN(prevRSI) || isNaN(currRSI)) {
signals.push({ time: candles[i].time, action: 'hold' });
continue;
}
// エントリー: RSI が oversold 以下から上抜け
if (prevRSI <= oversold && currRSI > oversold) {
signals.push({
time: candles[i].time,
action: 'buy',
reason: `RSI crossed above ${oversold} (oversold exit): ${currRSI.toFixed(1)}`,
});
}
// エグジット: RSI が overbought 以上に到達
else if (currRSI >= overbought) {
signals.push({
time: candles[i].time,
action: 'sell',
reason: `RSI reached overbought (${overbought}): ${currRSI.toFixed(1)}`,
});
}
// シグナルなし
else {
signals.push({ time: candles[i].time, action: 'hold' });
}
}
return signals;
},
getOverlays(candles: Candle[], params: Record<string, number>): Overlay[] {
const { period, overbought, oversold } = { ...DEFAULT_PARAMS, ...params };
const closes = candles.map(c => c.close);
const rsi = calculateRSI(closes, period);
// RSIは別のスケールなのでバンドとして表現（実際はサブチャートに表示すべき）
// ここでは簡易的にRSIの値をオーバーレイとして返す
return [
{
type: 'line',
name: `RSI(${period})`,
color: '#a855f7', // purple
data: rsi, // 注: これは0-100のスケールで、価格チャートには直接描画できない
},
];
},
};
export default rsiStrategy;
